Calibration tests for multivariate Gaussian forecasts

DOI10.1016/J.JMVA.2016.11.005zbMATH Open1352.62087OpenAlexW2555704046MaRDI QIDQ730441FDOQ730441

Authors: Wei Wei, Fadoua Balabdaoui, Leonhard Held 

Publication date: 28 December 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2016.11.005

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zbMATH Keywords

calibration testDawid-Sebastiani scoreGaussian forecastlogarithmic scoremultivariate forecastuniform correlation matrix

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Coherent dispersion criteria for optimal experimental design
• Calibration tests for count data
• Probabilistic Forecasts, Calibration and Sharpness
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• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
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• Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds
• Two further applications of a model for binary regression
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• A score regression approach to assess calibration of continuous probabilistic predictions
• The Generalization of Student's Ratio
• 400: A Method for Combining Non-Independent, One-Sided Tests of Significance
• Projecting the future burden of cancer: Bayesian age-period-cohort analysis with integrated nested Laplace approximations

Cited In (4)

• Uniform calibration tests for forecasting systems with small lead time
• Prediction and calibration for multiple correlated variables
• Copula calibration
• Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes

Uses Software

• Surveillance
• Survey
• BAPC

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